The IAFE is an abundant resource for cutting-edge research and white papers on timely issues in quantitative finance and risk management.

Listed here are all of the IAFE's recent white papers, issued by our area-specific working groups. Presentations from our meetings are also available, as well as links to other relevant documents that might be of interest to our members.

IAFE Papers

Policy Perspectives on OTC Derivatives Market Infrastructure

March 2010

Policy Issues Facing the Market for Credit Derivatives

Does a Central Clearing Counterparty Reduce Counterparty Risk?

March 2009

Observations on Risk Management Practices during the Recent Market Turbulence

March 2008

Valuing Credit Derivative Using an Implied Copula Approach
November 2006

Valuation Concepts for Investment Companies and Financial Institutions and Their Stakeholders
IAFE Investor Risk Committee
November 21, 2003

IAFE Operational Risk Committee White Paper: Operational Risk & Insurance
September 23, 2003

IAFE Operational Risk Committee White Paper: Operational Risk Management for the Buy Side
November 2002

IAFE Operational Risk Committee White Paper: Operational Risk at a Crossroads
May 30, 2002

IAFE Operational Risk Committee White Paper: Evaluating Operational Risk Controls
November 2001

IAFE Investor Risk Committee Consensus Document: Findings on Hedge Fund Transparancy and Disclosure
July 27, 2001

IAFE Investor Risk Committee Consensus Document: Findings on Hedge Fund Transparancy and Disclosure October 12, 2000

IAFE Presentations

2011 Events

CCR Workshop

January 25, 2011

Dan Rosen 1

Dan Rosen 2

Eduardo Canabarro

Michael Pykhtin

2010 Events

2010 IAFE Conference

June 18, 2010

Mark Flannery

David Martin

Conrad Voldstad

Andrew Lo

John Hull

Richard Roll

The StressVar: A New Risk Concept for Superior Fund Allocation

March 3, 2010

Riskdata Workshop

2009 Events

Retooling Risk Management: How Practitioners Have Changed Things Since the Crisis Started

December 1, 2009

Sebastion Ceria

Antonio Baldaque

Risk Based Valuation

November 10, 2009

David Shimko

Algorithmic Trading: A Buy-Side Perspective

May 27, 2009

Petter Kolm

Credit Derivatives Markets: Policy Issues

April 28, 2009

Darrell Duffie

Extracting Information about the Stock Market's Return Forecasts and Risk Preferences from the Risk Neutral Probability Distribution

April 20, 2009

Stephen Figlewski

Economics of Estimated Future Receivables and Payables of OTC Derivatives

March 24, 2009

David Lamb

Charles Monet

Evan Picoult

2007 Events
Intelligent Commodity Investing: A Book Panel
June 11, 2007
Mark Shore
Colin Waugh
Ken Armstead
George Dowd
Hilary Till

2007 Annual Conference: From Quant to Riches
May 21, 2007
Andrew Lo The Psychology of Trading
Mark Anson Top Ten Hedge Fund Quotes
Andrew Weisman Top Ten Hedge Fund Quotes

Liquidity Risk, Systemic Risk, and Market Risk
April 25, 2007
Roy Henriksson
Steve Allen
Tobias Adrian

Hedge Fund Attributions
February 15, 2007
Jacqueline Meziani
Fabrice Rouah
Mark Shore
Hilary Till

2006 Events
Hedging Credit Spread and Default Risks in CDO Tranches
November 1, 2006
Jean-Paul Laurent
Video Available For Members

Why Should Hedge Funds Care About Operational Risk?
September 20, 2006
Summary Available Here

2006 Annual Conference: Financial Markets: Innovation or Revolution?
May 24, 2006
Risk Panel
Alternatives Panel
Phelim Boyle: Keynote Speech
Stability Panel

Separating Alpha and Beta Drivers
May 8, 2006
Mark Anson

Valuing Correlation-Dependent Credit Derivatives: Implying Copulas from Market Data
May 2, 2006
Dr. John Hull

2005 Events
A Simple GARCH Approach to Default Correlations
March 2, 2005
Dr. Robert Engle, the Michael Armellino Professor of Finance at NYU Stern School of Business and recipient of the 2003 Nobel Prize in Economics

2004 Events
2004 IAFE Annual Conference
June 3, 2004
Keynote Speech: The Price For Bearing Default Risk
Darrell Duffie, James Irwin Miller Professor of Finance, Stanford University and IAFE Senior Fellow

Asset Allocation Panel
Martin L. Leibowitz, Managing Director, Morgan Stanley
The β-Plus Measure in Asset Allocation

Presentation by Edgar J. Sullivan, Managing Director, Absolute Return Strategies, General Motors Asset Management

Alpha, Beta, Shmalpha Panel
Presentation by Leslie Rahl, President, Capital Market Risk Advisors & IAFE Board Member
Presentation by Cliff Asness, Managing and Founding Principal, AQR Capital Management, LLC

Andrew Weisman, Managing Partner, Strativarius Capital Management
Alpha Hedging: An Introduction

Post FAS 133: The Move To Fair Value Accounting
May 13, 2004
Presentation by Ira G. Kawaller, President, Kawaller & Company, LLC

2003 Events
Macrofinancial Risk Forum
November 3, 2003
Dale Gray, President, MFRisk; Senior Consultant, MfRisk-Moody's project
"A New Macrofinancial Risk Framework."

Also of interest, "A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy" by Dale Gray, Zvi Bodie and Robert Merton.

2003 Annual Conference
Van Harlow, President & CEO
"Staying the Course: The impact of investment style consistency and Alpha Persistency on Mutual Fund Performances"

Jonathan Ingersoll, Adrian C. Israel Professor of Int'l Trade & Finance, Yale University; IAFE Senior Fellow
"Sharpened Sharpes"

Eric Knight, Managing Director, Knight Vinke Asset Management
"Institutional Shareholder Activism: An Alternative to Traditional Value-Based Investing"

Massoud Mussavian & Michael de Lathauwer
Equity Derivatives Research in Europe, Goldman Sachs International
"Trends and Uses of Equity Derivatives"

Stephen A. Ross, Franco Modigliani Professor of Finance & Economics, MIT; IAFE Senior Fellow
"The Role of Hedge Funds in Institutional Porfolios"

Richard Sandor, Chairman and CEO, Chicago Climate Exchange
"Convergence of Enviornmental and Financial Markets"

Insurance Risk: State of the Industry and Key Issues
April 21, 2003
Dave Ingram, Consulting Actuary, Insurance Risk Management Practice, Milliman USA

Robert Riegel, Managing Director, Life & Health Insurance Team, Moody´s Investors Service

From our April 2003 Monthly Meeting
Steve Figlewski, Professor of Finance, NYU Stern School of Business and IAFE Board Member
Assessing the Risk in Risk Assessments

From our March 2003 Monthly Meeting
John Hull, Maple Financial Professor of Derivatives and Risk Management at the Joseph L. Rotman School of Management, University of Toronto and IAFE Senior Fellow
CDS Spreads, Volatility Skews, and the Assessment of Credit Quality